This page contains information about CME MDP 3.0 SBE market data on CME Smart Stream on Google Cloud Platform (GCP). CME Smart Stream on GCP leverages Google Cloud Pub/Sub technology for market data distribution. For complete details regarding Google Cloud Pub/Sub please refer to Google Pub/Sub documentation.

Within CME Smart Stream, CME MDP refers to the CME Group Market Data Platform, which provides the complete array of CME Group market data. 

CME MDP 3.0 SBE is the CME Globex event-based bid, ask, trade and statistical market data format.

• Real-Time - Real-time market data via CME Globex
• Delayed (10 minute delay) - Allows customers to use CME Group data under delayed licensing terms. Traditionally, customers licensing delayed data had to self-manage the throttling of real-time feeds from exchanges per licensing policies. This cloud-based delivery mechanism provides customers with low cost, flexible and reliable access to data without the requirement to delay the content so they can focus on its use. Receipt of the data and licensing removes the requirement, complexity and cost of an intermediary service.

Contents

Revision History

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"Topic Naming Methodology"

• Added link to CME Reference Data API in Product Group row.
• Added link to "Market Data Offerings via Google Cloud" in Product Group row.

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• "Testing and Certification" - Updated section. Added note about test environment data rates.
• "Market Data Support Services" - Added section.
• "Google Cloud Pub/Sub Processing Overview" - Updated section with more links to Google's documentation.
  • "CME MDP on Google Cloud Pub/Sub Message Flow" - Updated step 3.
    • "Market by Order (MBO) Market Recovery Snapshot Topic" - added mention of real-time and delayed data
    • "Market by Price (MBP) Market Recovery Snapshot Topic" - added mention of real-time and delayed data
    • "Instrument Recovery Topic" - Added description of topic.
  • "CME MDP Included Attributes" - Added note about Saturday test data.
• "Additional Product and Instrument Information" - Removed section.

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This page contains information about CME MDP 3.0 SBE market data on CME Smart Stream on Google Cloud Platform (GCP). CME Smart Stream on GCP leverages Google Cloud Pub/Sub technology for market data distribution. For complete details regarding Google Cloud Pub/Sub please refer to Google Pub/Sub documentation.

Within CME Smart Stream, CME MDP refers to the CME Group Market Data Platform, which provides the complete array of CME Group market data. 

CME MDP 3.0 SBE is the CME Globex event-based bid, ask, trade and statistical market data format.

• Real-Time - Real-time market data via CME Globex
• Delayed (10 minute delay) - Allows customers to use CME Group data under delayed licensing terms. Traditionally, customers licensing delayed data had to self-manage the throttling of real-time feeds from exchanges per licensing policies. This cloud-based delivery mechanism provides customers with low cost, flexible and reliable access to data without the requirement to delay the content so they can focus on its use. Receipt of the data and licensing removes the requirement, complexity and cost of an intermediary service.

Contents

Market Data Offerings via Google Cloud

CME Smart Stream on GCP includes MDP 3.0 channels (CME, CBOT, COMEX, NYMEX, DME, MGEX), Streamlined SBE channels, Data Insights and BrokerTec U.S. Treasuries as follows:

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Testing and Certification

The following section outlines testing and certification for GCP.

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Certification via AutoCert+ is required for all client systems that will support CME Smart Stream on GCP. The following market data offerings have separate test suites:

• Globex MDP 3.0
• Data Insights - Settlement and Valuations
• Streamlined - Block Trades
• Streamlined - OTC Daily
• Streamlined - CME CF Cryptocurrency Indices
• Streamlined - Equity Indices
• Streamlined - OTC Daily
• BrokerTec U.S. Treasury Data

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Getting Started with CME MDP Concepts

This section lists current CME MDP 3.0, Streamlined, Data Insight BrokerTec U.S. Treasury market data processing concepts applicable to CME MDP on Google Cloud Pub/Sub. If you are new to CME MDP technology or wish to better understand how your current system aligns with cloud-based technology, CME Group recommends starting here.

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Clients planning to process CME Data Insights Settlements and Valuations market data should be familiar with the functional specification available here. 

BrokerTec U.S. Treasury Data

Clients planning to process BrokerTec U.S. Treasury market data on CME Smart Stream on GCP should be familiar with the functional specification available here.  

Market Data Support Services

Market data services provide the external data required to process CME Group market data.

Support Services 

There are two MDP services available for markets on CME Globex: Core Globex SBE Schema and CME Reference Data API. An FTP site is used to store the schema files for all environments.

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Google Cloud Pub/Sub Processing Overview 

This section provides an overview of CME MDP processing for Google Cloud Pub/Sub. For complete details regarding Google Cloud Pub/Sub technology, refer to Google's online Pub/Sub documentation. For Pub/Sub libraries, refer to Google’s Pub/Sub Client Libraries. Common GCP SDK Pub/Sub processing concepts include the following:

• Subscriber methodology in Java 
• Pulling data from a subscription in Python synchronously and asynchronously
• Create a Subscription using JavaScript 
• Listen for messages using JavaScript 

CME MDP on Google Cloud Pub/Sub Message Flow

The following diagram outlines the Publisher (CME Group) relationship with the Subscriber (Client System) for Google Cloud Pub/Sub technology.   

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4. The subscriber receives pending messages from its subscription and acknowledges each one to the Cloud Pub/Sub service.  A message contains the CME Group Simple Binary Encoded (SBE) messages.

5. When a message is acknowledged by the subscriber, it is removed from the subscription's message queue.

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The following section outlines the CME MDP messaging within a Google Pub/Sub Message structure.  

CME MDP Included Data

The Google Pub/Sub data field provides the full CME Group UDP data packet.  

The following diagram outlines CME data with a Google Pub/Sub message:

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Google Pub/Sub does not guarantee message order. Therefore, the client system must ensure the correct processing of messages.

Project Names and Topic Naming Methodology

CME Smart Stream SBE on Google Cloud Platform (GCP) has data per product. Project names have the following methodology:

Topic names have the following methodology:  

Topic Name Examples

The following are topic name examples:

• Production MDP 3.0 Globex Equity Futures Incremental Real-Time Feed (Channel 310): PROD.SSCL.GCP.MD.RT.CMEG.FIXBIN.v01000.INCR.310
• Production MDP 3.0 Globex Equity Futures Recovery Real-Time Feed (Channel 310): PROD.SSCL.GCP.MD.RT.CMEG.FIXBIN.v01000.MBORPLY.310
• New Release Streamlined S&P Index Real-Time Feed (Channel 211): NR.SSCL.GCP.MD.RT.SPDJI.STRBIN.v01000.INCR.210
• Production MDP 3.0 BMD Futures Delayed Feed (Channel 430): PROD.SSCL.GCP.MD.DLY.BMD.FIXBIN.v01000.INCR.430

Recovery Processing

The following section outlines recovery options for CME Smart Stream on GCP.

Google Cloud Pub/Sub Message Replay

Google Cloud Pub/Sub includes the ability to replay messages. For more information on recovering messages, please refer to the Google quick start guide. (https://cloud.google.com/pubsub/docs/replay-qs).  

Google Cloud Pub/Sub replay is available for all CME MDP channels on Google Cloud Pub/Sub. Client systems that require data recovery from the beginning of the week on CME Globex can determine the weekly start via the incremental topic when the CME Group sequence number is equal to one.

Large-Scale Market Recovery

This section describes Market by Price (MBP) & Market by Order (MBO) recovery processing for MDP 3.0 channels via Google Cloud Pub/Sub. Market Recovery should be used for large-scale data recovery (i.e. major outage or late join) to synchronize client systems to the latest state maintained by CME Group.  Market by Price (MBP) & Market by Order (MBO) recovery have separate topics.

Once a subscriber requests to recover from a market recovery topic all Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages are looped 3 times for an applicable channel.  

The following is an example of the messaging from the market recovery 3x topic loop:

A Market Data Snapshot Full Refresh (35=W) message will be included if the instrument has had book/trade activity since the beginning of the week. Once the instrument has had at least one order, it will stay in the recovery topic, even if the order is cancelled. Market Data Snapshot Full Refresh (35=W) messages will not be sent for instruments having no book activity. More than one instrument can be updated in a packet. The following information is available in the Market Data Snapshot Full Refresh (35=W) message:

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• Last Trade
• Opening Price
• Session High Trade Price
• Session Low Trade Price
• Session High Bid
• Session Low Offer
• Electronic Volume

Large Scale Market Recovery Processing

When recovery is required, client systems must re-synchronize all books to the latest state maintained by CME Group and determine whether any new instrument definitions have been published.

• the tag 369-LastMsgSeqNumProcessed value on the Snapshot message corresponds to the packet sequence number on the Incremental topic

• tag 60-TransactTime communicates the start transaction time of the last event for the instrument

  Market Recovery Topic - Snapshot (tag 35-MsgType=W) Message		Incremental Topic
  tag 369-LastMsgSeqNumProcessed	corresponds to	packet sequence number
  tag 60-TransactTime		tag 60-TransactTime

CME Smart Stream on GCP utilizes GCP utilizes the same SBE SBE template processing methodology as CME Globex. 

Market Recovery Processing Workflow

This section describes the process to follow for large-scale recovery concurrently processing the Incremental topic and Snapshot messages from the Market Recovery topic. Once a book is recovered, client systems can resume normal processing for that instrument even if other books are still being recovered. Client systems will not recover any missed statistics on the Market Recovery topic.

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Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

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